BFW2401 Monash Bank has positions in the five currencies as follows: Currency USD GBP EUR CHF AUD CAD: Commercial banking and finance – S2 2023 Home Work, MUM, Malaysia

School

Monash University Malaysia (MUM)

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Individual Assignment

Subject

BFW2401 Commercial banking and finance - S2 2023

Uploaded by Malaysia Assignment Help

Date

10/26/2023

Monash Bank has positions in the five currencies as follows: Currency USD GBP EUR CHF AUD CAD Amount 1mil 1mil 1mil 1mil 1mil 1mil Calculate the Monash bank market risk using the VAR according to the back simulation method for the six currencies. The data from BNM to be used for this back simulation is attached in the Excel file for this exercise. (Hint: BNM data can be found using this link https://www.bnm.gov.my/exchange-rates )

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